Books
- Term-Structure Models: A Graduate Course (Springer Finance), Springer-Verlag, 2009
- Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (Lecture Notes in Mathematics 1760), Springer-Verlag, 2001
Articles
- Affine Processes on Positive Semidefinite Matrices (with Christa Cuchiero, Eberhard Mayerhofer, Josef Teichmann), Working Paper 2009 (SSRN)
- Approaches to Conditional Risk (with Michael Kupper and Nicolas Vogelpoth), Working Paper 2009 (SSRN)
- Pricing and Hedging of CDOs: A Top Down Approach (with Thorsten Schmidt), Working Paper 2009 (SSRN)
- Optimal Investment and Premium Policies under Risk Shifting and Solvency Regulation (with Robert Kremslehner and Alexander Muermann), Working Paper 2009 (SSRN)
- An Empirical Analysis of Valuation Algorithms for Pricing Callable Snowball Floaters (with Nils Friewald and Stefan Pichler), Working Paper 2009 (SSRN)
- Term Structure Models Driven by Wiener Process and Poisson Measures: Existence and Positivity (with Stefan Tappe and Josef Teichmann), Preprint, submitted 2009 (pdf)
- Affine Diffusion Processes: Theory and Applications (with Eberhard Mayerhofer), Radon Series Comp. Appl. Math 8, 1–40, 2009 (pdf)
- Jump-Diffusions in Hilbert Spaces: Existence, Stability and Numerics (with Stefan Tappe and Josef Teichmann), forthcoming in Stochastics (pdf)
- Separation and duality in locally L^0-convex modules (with Michael Kupper and Nicolas Vogelpoth), Journal of Functional Analysis 256, 3996-4029, 2009 (Working Paper Version)
- Affine Models (with Christa Cuchiero and Josef Teichmann), forthcoming in Encyclopedia of Quantitative Finance, John Wiley & Sons Ltd. (pdf)
- Dynamic CDO Term Structure Modelling (with Ludger Overbeck and Thorsten Schmidt), forthcoming in Mathematical Finance (pdf)
- Doubly Stochastic CDO Term Structures (with Ludger Overbeck and Thorsten Schmidt), Preprint, submitted 2008 (pdf)
- Multi-Level Risk Aggregation, forthcoming in ASTIN Bulletin (pdf)
- Realizable Group Diversification Effects (with Andreas Kunz), Life & Pensions, May 2008 (pdf)
- A Note on Natural Risk Statistics (with Shabbir Ahmed and Gregor Svindland), Operations Research Letters 36, 662-664, 2008 (pdf)
- Stochastic Differential Equations Driven by Processes with Independent Increments (with Stefan Tappe), Preprint, submitted, 2007 (pdf)
- Concave Distortion Semigroups (with Alexander Cherny), Preprint, submitted, 2007 (pdf)
- Optimal Capital and Risk Allocations for Law- and Cash-Invariant Convex Functions (with Gregor Svindland), Finance and Stochastics 12, 423-439, 2008 (pdf)
- The Canonical Model Space for Law-Invariant Convex Risk Measures is L^1 (with Gregor Svindland), forthcoming in Mathematical Finance (pdf) (Extended Working Paper Version).
- Consistent Market Extensions under the Benchmark Approach (with Eckhard Platen), Mathematical Finance 19, 41-52, 2009 (pdf)
- Optimal Numeraires for Risk Measures, Mathematical Finance 18, 333-336, 2008 (pdf)
- A Note on the Dai-Singleton Canonical Representation of Affine Term Structure Models (with Patrick Cheridito and Robert Kimmel), forthcoming in Mathematical Finance (pdf)
- A Note on the Swiss Solvency Test Risk Measure (with Nicolas Vogelpoth), Insurance: Mathematics and Economics 42, 897–902, 2008 (pdf)
- Existence of Levy Term Structure Models (with Stefan Tappe), Finance and Stochastics 12, 83-115, 2008 (pdf)
- The Geometry of Interest Rate Models Lecture Notes from the Dimitsana Summer School 2005, submitted, 2006 (pdf)
- Equilibrium Prices for Monetary Utility Functions (with Michael Kupper), International Journal of Theoretical and Applied Finance, 11, 325 - 343, 2008 (pdf)
- Optimal capital and risk transfers for group diversification (with Michael Kupper), Mathematical Finance 18, 55-76, 2008 (pdf)
- Credit Derivatives in an Affine Framework (with Li Chen), Asia-Pacific Financial Markets 14, 123-140, 2007 (pdf) (Working Paper Version)
- On the Group Level Swiss Solvency Test (with Michael Kupper), Bulletin of the Swiss Association of Actuaries 1, 97-115, 2007 (pdf)
- Monotone and Cash-Invariant Convex Functions and Hulls (with Michael Kupper), Insurance: Mathematics and Economics 41, 1-16, 2007 (pdf)
- Market Price of Risk Specifications for Affine Models: Theory and Evidence (with Patrick Cheridito and Robert L. Kimmel), Journal of Financial Economics 83, 123-170, 2007 (abstract)
- Benchmarking Study of Internal Models (with Daniel Rost), carried out on behalf of The Chief Risk Officer Forum, 2005 (pdf) (also available on CRO Forum Publications)
- Equivalent and Absolutely Continuous Measure Changes for Jump-Diffusion Processes (with Patrick Cheridito and Marc Yor), The Annals of Applied Probability 15, No. 3, 1713-1732, 2005 (pdf)
- A Simple Model for Credit Migration and Spread Curves (with Li Chen), Finance and Stochastics 9, 211-231, 2005 (pdf)
- Time-Inhomogeneous Affine Processes, Stochastic Processes and Their Applications 115, 639-659, 2005 (pdf)
- A Mixed Approach to Modeling Default Risk (with Li Chen and H. Vincent Poor), RISK 17, November 2004
- Quadratic Term Structure Models for Risk-free and Defaultable Rates (with Li Chen and H. Vincent Poor), Mathematical Finance 14, 515-536, 2004 (pdf)
- Conditions for Consistent Exponential-Polynomial Forward Rate Processes with Multiple Nontrivial Factors (with Emmanuel Sharef), International Journal of Theoretical and Applied Finance 7, 685-700, 2004
- On the Geometry of the Term Structure of Interest Rates (with Josef Teichmann), Proceedings of The Royal Society of London. Series A. Mathematical, Physical and Engineering Sciences 460, 129-167, 2004 (pdf)
- Swiss Solvency Test (with Philipp Keller), working paper, Federal Office of Private Insurance, 2004
- Affine Processes and Applications in Finance (with Darrell Duffie and Walter Schachermayer), The Annals of Applied Probability 13, 984-1053, 2003 (pdf)
- Regularity of Finite-Dimensional Realizations for Evolution Equations (with Josef Teichmann), Journal of Functional Analysis 197, 433-446, 2003 (pdf)
- Existence of Invariant Manifolds for Stochastic Equations in Infinite Dimension (with Josef Teichmann), Journal of Functional Analysis 197, 398-432, 2003 (pdf)
- On Finite-Dimensional Term Structure Models (with Josef Teichmann), working paper, Princeton University, 2002 (pdf)
- Separable Term Structures and the Maximal Degree Problem, Mathematical Finance, 12(4):341-349, 2002 (pdf)
- Markovian Term Structure Models in Discrete Time (with Jerzy Zabczyk), The Annals of Applied Probability, Vol. 12, No. 2, 710-729, 2002 (pdf)
- Affine Short Rate Models, Progress in Probability, Vol. 52, 121-132, Birkhauser Verlag, 2002
- A General Characterization of One Factor Affine Term Structure Models, Finance and Stochastics 5, 389-412 (2001) (pdf)
- Invariant Manifolds for Weak Solutions to Stochastic Equations, Probability Theory and Related Fields, 118(3):323-341, 2000 (pdf)
- Consistency Problems for HJM Interest Rate Models, PhD thesis, ETH Zurich, 2000 (pdf)
- Exponential-Polynomial Families and the Term Structure of Interest Rates, Bernoulli, 6(6):1-27, 2000 (pdf)
- A Note on the Nelson-Siegel Family, Mathematical Finance, 9(4):349-359, 1999 (pdf)